Radio
My first audio format was FM/AM radio, because that's all I had. It was an old General Electric portable radio with a full range speaker that I still have today. Really pulls in the stations.
Cassette
Then came cassettes, which I never really liked and didn't try to hard at. Maybe I should have. I don't remember what happened to them and I don't really care. They seemed very disposable, like they were made with the knowledge that they'd be thrown away, and I always hated that even from a young age.
Compact Disc
Next was CD which was a big deal at the time, because I could listen to my favorite artists, and they sounded Soooooo good, and when I was younger you had to work for this format. This is the easiest way to get high quality music in my opinion and I always (even before other things) the act of opening up the album and carefully pulling out the disc and putting it in the player, then looking through the artwork as I listen. I still really like searching for albums for hidden gems at least once a week. The reliability physicality, quality, and permanence of this format is very attractive. I'd recommend this to any one just starting out as its cheap, rewarding and effective.
MP3+Friends
Then I got an MP3 player shortly after my family got their first desktop. I got lucky with a really nice one, but it was only 4 gigs so I had to compress all but my favorite songs. Still it was really convenient, and I could transfer my CD's over to it and listen to them anywhere. Awesome unit, but the battery died on me years ago and its integrated. This was what I listened to in bed, or on a trip. I've still got it, but the stupid battery costs more then I paid for it new, which was a lot and I can't justify fixing it + have no reason to replace it. These are great, because you don't have to buy the whole album for that one good song. I can't compare it anymore, but despite compression it would take a fairly high end system to match the experience of that unit that I was able to buy (with everything I had) at the age of 12. I wish I had the brand of those headphones. Live recordings were breathtaking, and for a few years this was "THE BEST" quality in music reproduction I had just because my headphones were that good.
Vinyl Records
Then came vinyl. I didn't have the money or the experience to really make it rival my CD's but people were just giving away music everywhere, and I love saving these wonderful recordings from dusky garages and old barns. I first got a small collection going that I couldn't pass up, and then got a junk unit to play it. This is hands down the "coolest" format and the effort you have to put into it instills and extra degree of pride in your music, gear, and collection in my opinion. I still haven't caught it up to my CD's and don't know that I ever will but I love my vinyl just as much. Everything about it is kind of ridiculous if you think about it too hard, but I just have an emotional draw to mechanical devices and think the players are one of the coolest things in this whole shebang next to the music itself.
Modern Convenience
Now, I've got everything on my phone. I pretty much have my entire collection on there, plus spotify. I really like streaming, and its played just as often as I listen to the radio still. I enjoy the organization computers allow, and how easy it is to mix and match custom playlists. Its great that my collection and more is accessible anywhere there is internet, and that's used for friends, and casual listening.
Next, I'm probably going to get a DAC, and keep the miles off my hard copies and the aging players I use for them with my hard drive storage. They will still get played though. I feel like a nut saying it, but the computer or a phone just isn't the same.
I picked my formats based first on accessibility, then quality, then cool factor, then convenience. They all have their strengths to this day, and are all, aside from cassets, still in use according to how much time I feel like putting into them. I always thought Audio-DVD's were the format to rule them all, but they never really took off for some reason. They were always so expensive. I suppose greed did that format in.